Central Bank Policy Paths and Market Forward Rates: A Simple Model

B-Tier
Journal: Journal of Money, Credit, and Banking
Year: 2017
Volume: 49
Issue: 6
Pages: 1197-1224

Authors (2)

FERRE DE GRAEVE (KU Leuven) JENS IVERSEN (not in RePEc)

Score contribution per author:

1.009 = (α=2.02 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Increasingly many central banks announce likely paths for future policy rates. Recent experience suggests that market forward rates can differ substantially from those announced. Models commonly adopted in policy analysis ignore such differences. This paper studies a simple model that can capture deviations between announced paths and market forward rates. We detail the macroeconomic transmission of such deviations and show how the model can inform policy deliberations.

Technical Details

RePEc Handle
repec:wly:jmoncb:v:49:y:2017:i:6:p:1197-1224
Journal Field
Macro
Author Count
2
Added to Database
2026-01-25